Articles liés à Econometric Analysis of Financial Markets
Synopsis
This volume evolved from a conference on "Financial Markets Economet- rics" held at the ZEW (Zentrum fiir Europaische Wirtschaftsforschung) in Mannheim, Germany in February, 1992. However, not all papers included in this volume were presented at the conference. In some cases the papers are follow-up papers to the ones presented. The purpose of the conference was to bring together researchers from several European countries to discuss their applications of recent economet- ric methods to the analysis of financial markets. From a methodological point of view the main emphasis of the conference papers was on cointe- gration analysis and ARCH modelling. In . cointegration analysis the links between long-run components of time series are studied and the methods can .be applied to the determination of equilibrium relationships between the vari- ables, whereas ARCH models (ARCH is the acronym of autoregressive condi- tional heteroskedasticity) are concerned with the measurement and analysis of changing variances in time series. These two models have been the most significant innovations' for the empirical analysis of financial time series in recent years. Six papers of this volume apply cointegration analysis (the papers by MacDonald/Marsh, Hansen, Ronning, Garbers, Kirchgassner/Wolters, and Kunst/Polasek) and seven papers deal with ARCH models (Kramer/Runde, Drost, Kunst/Polasek, Kugler, Eggington/Hall, Koedijk/Stork/deVries, and Demos/Sentana/Shah). Other econometric methods and models applied in the papers include factor analysis (Eggington/Hall and Demos/Sentana/- Shah), vector autoregressions (Kirchgassner/Wolters and Kunst/Polasek), Markov-switching models (Garbers and Kaehler /Marnet), spectral analysis (Kirchgassner/Wolters), stable Paretian distributions (Kramer/Runde and Drost) and ARFIMA models (Drost).
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Econometric Analysis of Financial Marke (eng)
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Econometric Analysis of Financial Markets
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Springer, Berlin, Physica-Verlag Apr 2012, 2012
ISBN 10 : 3642486681
ISBN 13 : 9783642486685
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Taschenbuch
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This volume evolved from a conference on 'Financial Markets Economet rics' held at the ZEW (Zentrum fiir Europaische Wirtschaftsforschung) in Mannheim, Germany in February, 1992. However, not all papers included in this volume were presented at the conference. In some cases the papers are follow-up papers to the ones presented. The purpose of the conference was to bring together researchers from several European countries to discuss their applications of recent economet ric methods to the analysis of financial markets. From a methodological point of view the main emphasis of the conference papers was on cointe gration analysis and ARCH modelling. In . cointegration analysis the links between long-run components of time series are studied and the methods can .be applied to the determination of equilibrium relationships between the vari ables, whereas ARCH models (ARCH is the acronym of autoregressive condi tional heteroskedasticity) are concerned with the measurement and analysis of changing variances in time series. These two models have been the most significant innovations' for the empirical analysis of financial time series in recent years. Six papers of this volume apply cointegration analysis (the papers by MacDonald/Marsh, Hansen, Ronning, Garbers, Kirchgassner/Wolters, and Kunst/Polasek) and seven papers deal with ARCH models (Kramer/Runde, Drost, Kunst/Polasek, Kugler, Eggington/Hall, Koedijk/Stork/deVries, and Demos/Sentana/Shah). Other econometric methods and models applied in the papers include factor analysis (Eggington/Hall and Demos/Sentana/ Shah), vector autoregressions (Kirchgassner/Wolters and Kunst/Polasek), Markov-switching models (Garbers and Kaehler /Marnet), spectral analysis (Kirchgassner/Wolters), stable Paretian distributions (Kramer/Runde and Drost) and ARFIMA models (Drost). 230 pp. Englisch. N° de réf. du vendeur 9783642486685
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Econometric Analysis of Financial Markets (Studies in Empirical Economics)
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Econometric Analysis of Financial Markets
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Econometric Analysis of Financial Markets
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Physica-Verlag HD, 2012
ISBN 10 : 3642486681
ISBN 13 : 9783642486685
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Do. N° de réf. du vendeur 5062424
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Econometric Analysis of Financial Markets
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Taschenbuch. Etat : Neu. Econometric Analysis of Financial Markets | Jürgen Kaehler (u. a.) | Taschenbuch | Studies in Empirical Economics | viii | Englisch | 2012 | Physica | EAN 9783642486685 | Verantwortliche Person für die EU: Physica Verlag in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. N° de réf. du vendeur 105985741
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Econometric Analysis of Financial Markets
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Econometric Analysis of Financial Markets
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Does Cointegration Matter in the Empirical Analysis of the CAPM .- Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials.- Frequency Domain Analysis of Euromarket Interest Rates.- Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach.- The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results.- An Investigation of the Effect of Funding on the Slope of the Yield Curve.- Stylized Facts, Realignments and Investment Strategies in the EMS.- Risk and Return in January: Some UK Evidence.- Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options.Physica Verlag, Tiergartenstr. 17, 69121 Heidelberg 244 pp. Englisch. N° de réf. du vendeur 9783642486685
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Econometric Analysis of Financial Markets
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This volume evolved from a conference on 'Financial Markets Economet rics' held at the ZEW (Zentrum fiir Europaische Wirtschaftsforschung) in Mannheim, Germany in February, 1992. However, not all papers included in this volume were presented at the conference. In some cases the papers are follow-up papers to the ones presented. The purpose of the conference was to bring together researchers from several European countries to discuss their applications of recent economet ric methods to the analysis of financial markets. From a methodological point of view the main emphasis of the conference papers was on cointe gration analysis and ARCH modelling. In . cointegration analysis the links between long-run components of time series are studied and the methods can .be applied to the determination of equilibrium relationships between the vari ables, whereas ARCH models (ARCH is the acronym of autoregressive condi tional heteroskedasticity) are concerned with the measurement and analysis of changing variances in time series. These two models have been the most significant innovations' for the empirical analysis of financial time series in recent years. Six papers of this volume apply cointegration analysis (the papers by MacDonald/Marsh, Hansen, Ronning, Garbers, Kirchgassner/Wolters, and Kunst/Polasek) and seven papers deal with ARCH models (Kramer/Runde, Drost, Kunst/Polasek, Kugler, Eggington/Hall, Koedijk/Stork/deVries, and Demos/Sentana/Shah). Other econometric methods and models applied in the papers include factor analysis (Eggington/Hall and Demos/Sentana/ Shah), vector autoregressions (Kirchgassner/Wolters and Kunst/Polasek), Markov-switching models (Garbers and Kaehler /Marnet), spectral analysis (Kirchgassner/Wolters), stable Paretian distributions (Kramer/Runde and Drost) and ARFIMA models (Drost). N° de réf. du vendeur 9783642486685
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Econometric Analysis of Financial Markets (Studies in Empirical Economics)
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